Research
On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

169,291 papers · 148 categories

Trend · papers per month

count% of corpus
0111 · Oct 201619922001200920182026
2 results for “simulation-and-regression”
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approachq-fin.PM

Method solves dynamic portfolio optimization with liquidity costs and market impacts.

problem Dynamic portfolio optimization with liquidity costs and market impacts.
method Simulation-and-regression approach extending least squares Monte Carlo algorithm.
result Validated method with realistic cash-and-stock portfolio, quantifying certainty equivalent losses.
portfolio optimizationliquidity costsmarket impactssimulation-and-regressiondynamic allocation
2016-10-25abs ↗pdf ↗
Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computationsq-fin.CP

A new method uses Gaussian processes to efficiently model and compute counterparty credit valuation adjustments (CVA).

problem Efficiently modeling and computing CVA for large OTC derivative portfolios.
method Multi-Gaussian process regression approach to learn a metamodel for the mark-to-market cube of a derivative portfolio.
result The method accurately and efficiently computes CVA for interest rate swap portfolios.
Gaussian process regressionCVA computationCounterparty riskDerivative portfolioMonte Carlo simulation
2019-01-30abs ↗pdf ↗